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Determining the number of static factors in approximate factor models       Matlab
Reference: Alessi, L., Barigozzi, M. and Capasso M. Improved penalization for determining the number of factors in approximate static factor models - Statistics and Probability Letters, 2010, 80, 1806–1813

Structural dynamic factor model for the euro area       Matlab
Reference: Barigozzi, M., Conti, A., and Luciani, M. Do euro area countries respond asymmetrically to the common monetary policy? - Oxford Bulletin of Economics and Statistics, 2014, 76, 693–714

nets       R package
Reference: Barigozzi, M. and Brownlees C. NETS: Network estimation for time series

Factors and networks for volatilties       Matlab
Reference: Barigozzi, M. and Hallin, M. A network analysis of the volatility of high-dimensional financial series - Journal of the Royal Statistical Society - series C, forthcoming

Non-stationary dynamic factor models       Matlab
Reference: Barigozzi, M., Lippi, M., and Luciani, M. Non-stationary dynamic factor models for large datasets - FEDS 2016-024, Board of Governors of the Federal Reserve System, 2016

factorcpt       R package
Reference: Barigozzi, M., Cho, H., and Fryzlewicz, P. Simultaneous multiple change–point and factor analysis for high-dimensional time series